Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1238 |
| Annualized Std Dev | 0.2968 |
| Annualized Sharpe (Rf=0%) | -0.4171 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3708.0000 |
| NAs | 1.0000 |
| Minimum | -0.4444 |
| Quartile 1 | -0.0064 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0003 |
| Geometric Mean | -0.0005 |
| Quartile 3 | 0.0061 |
| Maximum | 0.2810 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0009 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0003 |
| Stdev | 0.0187 |
| Skewness | -4.4112 |
| Kurtosis | 152.5514 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0144 |
| Gain Deviation | 0.0139 |
| Loss Deviation | 0.0184 |
| Downside Deviation (MAR=210%) | 0.0183 |
| Downside Deviation (Rf=0%) | 0.0145 |
| Downside Deviation (0%) | 0.0145 |
| Maximum Drawdown | 0.9274 |
| Historical VaR (95%) | -0.0206 |
| Historical ES (95%) | -0.0412 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-08 | 2020-03-18 | NA | -0.9274 | 3554 | 3300 | NA |
| 2006-07-21 | 2006-07-24 | 2006-12-28 | -0.0695 | 112 | 2 | 110 |
| 2006-12-29 | 2007-01-23 | 2007-01-31 | -0.0256 | 21 | 15 | 6 |
| 2007-02-01 | 2007-02-05 | 2007-02-07 | -0.0139 | 5 | 3 | 2 |
| 2006-07-06 | 2006-07-12 | 2006-07-19 | -0.0129 | 10 | 5 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 2.1 | 0.3 | 0.4 | 0.4 | -0.1 | -1 | -1.5 | 0.6 |
| 2007 | -0.8 | 0.8 | -0.7 | 1.7 | 0.8 | -0.9 | -2 | 1.9 | 2.7 | -0.7 | 1.3 | 0.3 | 4.6 |
| 2008 | 0.1 | -0.9 | 5.1 | 0.3 | 0.4 | 0.1 | 3.1 | -1 | 1.8 | 0 | -4.7 | 2.7 | 6.9 |
| 2009 | -0.2 | -1 | 1.7 | 2.2 | 2.4 | 1.8 | 1.7 | -0.2 | -0.9 | -1.5 | 1.3 | -0.3 | 7.2 |
| 2010 | 3.2 | 0.6 | 1.9 | -0.1 | 2.9 | -0.7 | 0.8 | -0.4 | 1.9 | 0 | 0.5 | -0.7 | 10.2 |
| 2011 | 1.6 | 1 | 1.2 | 0.4 | -0.8 | 0 | 1.5 | -0.8 | -1 | -0.9 | -1 | 0.2 | 1.5 |
| 2012 | 0.2 | -0.8 | 0.5 | 0.5 | -0.8 | 1.3 | 1.1 | 0.9 | -0.6 | 0 | -0.3 | -0.4 | 1.5 |
| 2013 | 0.4 | 0.4 | -0.8 | 1.4 | -1 | 0.4 | -0.3 | 1.4 | 1 | -0.1 | -0.6 | -2.5 | -0.2 |
| 2014 | 1 | 0.3 | 1.2 | 1.5 | 0.3 | 0.1 | -0.2 | -0.2 | -0.8 | 0.7 | -0.8 | -0.5 | 2.5 |
| 2015 | -1.3 | -0.3 | -37.3 | 0.4 | 0.6 | 1.2 | 0 | -0.6 | -0.5 | -0.5 | 1.9 | 0.9 | -36.2 |
| 2016 | 0.2 | 1.3 | -0.1 | 1.2 | 1.5 | -0.1 | -0.1 | -0.8 | 1.3 | 0.8 | 0.5 | 0 | 5.7 |
| 2017 | 0.5 | 0.3 | 0 | -0.6 | 0.8 | 0.7 | 0.5 | 0.3 | 0.4 | 1 | 0.5 | 0.1 | 4.6 |
| 2018 | 0.9 | 1.1 | -0.5 | 0.6 | 0.3 | -0.2 | 0.2 | 0.2 | -0.1 | 1.5 | -1.5 | -0.5 | 1.9 |
| 2019 | -0.2 | 0.1 | 0.2 | 0 | -1.5 | 0.4 | -0.3 | -0.1 | 0.2 | 0.2 | 0.5 | 0.1 | -0.6 |
| 2020 | -0.8 | -2.6 | -3.6 | -1.1 | 4 | -2.2 | -1.9 | 1.8 | 1.5 | -0.1 | 0.9 | -0.5 | -4.8 |
| 2021 | -0.2 | 2.2 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-26 80 SPY 125. 4.40e-3 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
2 2006-06-27 80 SPY 124. -8.60e-3 -0.0015 -0.0348 -0.0411 0.0399 0.254 0.0121 GLD 57.7 -0.0103 0.0066
3 2006-06-28 80.2 SPY 125. 6.80e-3 -0.0021 -0.0107 -0.0406 0.0383 0.277 0.0075 GLD 57.5 -0.00240 -0.0135
4 2006-06-29 80.7 SPY 127. 2.02e-2 0.0226 -0.0019 -0.0195 0.0621 0.304 0.036 GLD 59.5 0.0344 0.031
5 2006-06-30 82.4 SPY 127. -3.00e-4 0.0224 -0.0117 -0.02 0.0675 0.291 0.0453 GLD 61.2 0.0287 0.0559
6 2006-07-03 83 SPY 128. 4.50e-3 0.0225 -0.00930 -0.0149 0.0692 0.281 0.0514 GLD 62.2 0.0155 0.0669
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
